Jun

1

Many ask me why I don't adjust % wise rather than algebraically. A good reason is that the algebraic volatility of the market has not changed in 20 years. In other words the stand dev of a daily change was 14 in 1996 and is 14 today.

Period                          ending lvl      stand dev

12 30 1995- 12 30 1998        1413               12

12 30 1998  12 30 2001        1144               17 

01 30 2001 12 30  2004         1204               11 

12 30 2004 -12 30 2007        1356               11

12 30 2007- 12 30 2010        1520               19 

12 30 2010  12 30 2013        1801               14

12 30 2014-5 30 2015           2108               14    

Another set of mumbo jumbo shibboleths lands in boot hill.

anonymous writes: 

You may have a great point, and no one can force you. Let's hope the market won't either, lol…

My greatest problem with 20 year stats is that they reflected entirely different forces, rules and even psychology (AI is certainly different from humans). Of greatest worry is that cost of money has never been similar to current period, and so all the areas of the business of banking. That calls for changes in investing assumptions, which shouldn't kept static throughout.


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